I received a putty key file (.pkk) from a client today to access the EC2 instance. Since I don't use windows, is there any way to use the key on the command line ssh interface in Mac OS X 10.5?
You need to download PuTTY Key Generator, open up the .ppk in it, and export to OpenSSH private key format in
~/.ssh/id_dsa depending on format.
Xorlev's answer will certainly work. Accepting your client's private key, though, violates everything that PKI is about. You should be sending your public key to the client, who will then place that on the EC2 instance, granting you access. Private keys are meant to be kept, well, private.